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Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."

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  • GEORGE M. CONSTANTINIDES
  • THALEIA ZARIPHOPOULOU

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  • George M. Constantinides & Thaleia Zariphopoulou, "undated". "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."," CRSP working papers 495, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  • Handle: RePEc:wop:chispw:495
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    Cited by:

    1. George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009. "Mispricing of S&P 500 Index Options," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1247-1277, March.
    2. Maxim Bichuch, 2014. "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, vol. 18(3), pages 651-694, July.
    3. Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
    4. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
    5. Constantinides, George M. & Perrakis, Stylianos, 2002. "Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1323-1352, July.
    6. Virginia R. Young, 2004. "Pricing In An Incomplete Market With An Affine Term Structure," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 359-381.
    7. Donald Brown & Rustam Ibragimov & Johan Walden, 2015. "Bounds for path-dependent options," Annals of Finance, Springer, vol. 11(3), pages 433-451, November.
    8. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
    9. Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.

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